Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: fixed effects & autocorrelation& heteroskedasticity

From   "Clive Nicholas" <>
Subject   Re: st: fixed effects & autocorrelation& heteroskedasticity
Date   Tue, 25 May 2004 23:35:19 +0100 (BST)

Antonio Rodrigues Andres replied:

> I just wonder if I want to estimate a fixed effects model with ar(1) and
> accounting for heteroskedasticity, I should use xtgls as follows
> xtgls dep.var indep.var indi.dummies, force p(corr)
> is that correct?

I've never really used this command, but the official -xtregar- may be
what you're looking for in this regard: -whelp xtregar-.

The correct formulation using this would be:

. xtregar y x1 x2 x3 xk, fe

There is no reason I can think of as to why unit-level dummies could not
be included here.

Good luck.

CLIVE NICHOLAS        |t: 0(044)191 222 5969
Politics              |e:
Newcastle University  |
*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index